Risk measures based on benchmark loss distributions
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow for a...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Wiley
2019
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